scholarly journals Do financial markets respond to macroeconomic surprises? Evidence from the UK

2021 ◽  
Author(s):  
Reinhold Heinlein ◽  
Gabriele M. Lepori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Asset Prices ◽  
Yield Curve ◽  
The State ◽  
Large Set ◽  
Data Set ◽  
Macroeconomic Announcements ◽  
State Of The Economy ◽  
The Uk

AbstractWe investigate the response of UK asset prices to a large set of domestic scheduled macroeconomic announcements using data at a daily frequency from 1998 to 2017. Our results are mostly consistent with economic theory and follow two general patterns: (1) a stronger-than-expected economy raises stock returns, causes the home currency to appreciate, makes the yield curve steeper, and lowers the corporate credit quality spread; (2) higher-than-anticipated inflation leads to an appreciation of the domestic currency and raises the slope of the yield curve. Surprises about retail sales, claimant count rate, GDP, and industrial production have the most prevalent effects across the four asset classes in our data set. A large number of macroeconomic announcements increase trading activity in the stock market, whereas there is barely any (only minor) evidence that announcements (surprises) affect the volatility of asset prices. We also document that the effects of macroeconomic surprises are contingent not only upon the state of the economy but also on the state of the stock market (bull vs. bear).

How is Government Stability Affected by the State of the Economy? Payoff Structures, Government Type and Economic State

2017 ◽  
Vol 54 (2) ◽  
pp. 280-308 ◽  
Author(s):  
Johan Hellström ◽  
Daniel Walther
Keyword(s):  
Proportional Hazards ◽  
Research Question ◽  
Cox Proportional Hazards ◽  
The State ◽  
General Effect ◽  
Data Set ◽  
Economic Changes ◽  
Coalition Governments ◽  
Cox Proportional Hazards Models ◽  
State Of The Economy

To what extent are incumbent governments affected by the state of the economy when it comes to premature dissolution? This article investigates this research question using a data set on parties and governments for 18 West European countries for the period 1945–2013. In addition to investigating the general effect of the state of the economy on government termination, we hypothesize that macroeconomic conditions affect cabinet termination in different ways depending on the type of government that is in power. Using Cox proportional hazards models to estimate how different government types are impacted by the same changes in the economy, our results indicate that economic changes do matter, but that they mainly affect coalition governments. Our results also indicate that there is a difference between minority and majority governments when it comes to the type of termination. Minority coalition governments resolve to early elections, not replacements, presumably because a minority government does not survive defection. Majority coalition governments, in contrast, show sensitivity towards both types of terminations.

scholarly journals The effect of ambiguity on the UK stock market: evidence from a new empirical approach

2017 ◽  
Vol 14 (4) ◽  
pp. 133-147
Author(s):  
Run Qing Tan ◽  
Viktor Manahov ◽  
Jacco Thijssen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Linear Models ◽  
The Other ◽  
Var Model ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bid Ask Spread ◽  
The Uk

This study developed a new ambiguity measure using the bid-ask spread. The results suggest that the degree of ambiguity has an impact on the daily UK stock market returns, but ambiguity does not cause changes in the returns. This implies that UK stock prices or returns cannot be predicted using variation in the degree of ambiguity through linear models, such as the VAR model, which was used in the study. The two sets of results in the study show that the degree of ambiguity from the previous two days might affect stock market returns. The authors observe that an increase in the degree of ambiguity two days ago is associated with a positive premium required by the investors. On the other hand, the degree of ambiguity tends to be affected by its past five-day values. Thus, the degree of ambiguity seems to persist for five days until investors update their priors. The intuition behind the result is that the degree of ambiguity can affect the returns of the UK stock market and UK stock market returns can in turn have an impact on the degree of ambiguity. The authors also observe that the degree of ambiguity does not seem to predict stock market returns in the UK when one applies linear models. However, this does not mean that there is no non-linear relationship between the degree of ambiguity and stock market returns or stock returns.

Performance and development of a thin stock market: the Stockholm Stock Exchange 1912–2017

2020 ◽  
pp. 1-19
Author(s):  
Kristian Rydqvist ◽  
Rong Guo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Selection ◽  
Data Set ◽  
Transaction Prices ◽  
Limit Orders ◽  
A Value

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

scholarly journals Impact of gold and oil prices on the stock market in Pakistan

2020 ◽  
Vol 25 (50) ◽  
pp. 279-294
Author(s):  
Aiza Shabbir ◽  
Shazia Kousar ◽  
Syeda Azra Batool
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Structural Break ◽  
Oil Prices ◽  
Current Data ◽  
Small Sample ◽  
Data Set ◽  
Content Type ◽  
The Impact

Purpose The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test. Findings The data analysis results showed that gold and oil prices have a significant impact on the stock market. Research limitations/implications Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set. Originality/value This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

Stock returns and volatility: An empirical study of the UK stock market

1992 ◽  
Vol 16 (1) ◽  
pp. 37-59 ◽  
Author(s):  
Ser-Huang Poon ◽  
Stephen J. Taylor
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Stock Returns ◽  
The Uk

scholarly journals ТЕНДЕНЦІЇ РОЗВИТКУ ТА ФУНКЦІОНУВАННЯ ФОНДОВОГО РИНКУ УКРАЇНИ

World Science ◽  
2020 ◽  
Vol 2 (1(53)) ◽  
pp. 11-15
Author(s):  
Смагло О. В.
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
The State ◽  
Industrialized Countries ◽  
State Of The Economy ◽  
Independent Sector ◽  
The Right

Today, the Stock market of Ukraine is at the stage of its formation and is lagging far behind the stock markets of industrialized countries. Against this background, the study of current conditions and peculiarities of development of stock exchange trading and infrastructure of Ukraine becomes extremely relevant for the national economy.The stock market of Ukraine is in a state today that ensures its transition from the sphere of servicing of capital circulation to an independent sector of the economy, since one of the main indicators of the state of the economy of any country is the stock market, which is very keenly responsive to any changes in the state. The functioning of the stock market depends primarily on strong infrastructure, which creates the right conditions for the issue and further circulation of securities.

Rational Choice and Socio-Psychological Explanation for Opinion on Quebec Sovereignty

2003 ◽  
Vol 36 (3) ◽  
pp. 511-537 ◽  
Author(s):  
Matthew Mendelsohn
Keyword(s):  
Rational Choice ◽  
The State ◽  
Psychological Explanation ◽  
French Language ◽  
Comparative Approach ◽  
Data Set ◽  
Self Confidence ◽  
State Of The Economy ◽  
Linguistic Groups

The article identifies two schools of thought on why Quebeckers choose to support or oppose sovereignty - the rational choice approach that has focused on individuals' assessments of the collective costs and benefits of sovereignty for the Quebec economy and the French language, and the socio-psychological approach that has focused on variables such as resentment, feelings of status denial, ethnic grievances and self-confidence. It has been difficult to resolve disputes between the two approaches due to weakness in available data and a lack of a comparative approach amongst scholars. Using a data set explicitly designed to compare the two schools, this article examines whether previous researchers' conclusions hold even when concepts are operationalized in different ways and when models are specified using different variables. The author examines five general dimensions: the state of the economy, the state of the French language, the state of federalism, respect and recognition, and the perceived quality of relations between English and French speakers. The major substantive conclusion is that the previous scholarship on the motivations for vote choice have significantly overestimated the importance of assessments of the French language, significantly underestimated the importance of assessments of whether Quebeckers are respected and recognized within Canada, and have also underestimated the importance of assessments of federalism and the quality of relations between linguistic groups. These conclusions hold for even the most ambivalent voters.

scholarly journals Investors’ Trading Activity and Information Asymmetry: Evidence from the Romanian Stock Market

Risks ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 149
Author(s):  
Cristiana Tudor
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Stock Returns ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Impact Factors ◽  
Individual Investors ◽  
Data Set ◽  
Potential Impact ◽  
Information Advantage

This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as well as aggregate data on foreign and domestic investors (both institutional and individual) sales and purchases on the Romanian stock market, this research intends to provide an answer to the following question: Are foreign investors better informed than the domestic ones and continually achieve higher rates of return on the Romanian stock market? We compare the information advantage of the different investors’ categories by separating the stock in our data sample into two categories, namely blue-chips stocks (mostly stocks that are part of the BET index, and also containing one international stock, Erste Bank), and “regular” stocks. Subsequently, we study the explanatory power for stock returns of potential impact factors, which reflect the monthly net position of four groups of investors on the Romanian Stock market (Purchases-Sales) by employing multivariate regression models and a five variable VAR system. Ultimately, we are interested in whether investors in one particular category are consistently net buyers just before stock returns increase and are net sellers before stock returns decrease, thus suggesting they have an information advantage as compared to the domestic ones. Our aim is to provide robust empirical evidence on the nature of investors’ information asymmetry by utilising a unique data set and directly assessing relevant inter-relationships.

scholarly journals Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

2019 ◽  
Vol 11 (2) ◽  
pp. 351 ◽  
Author(s):  
Riza Demirer ◽  
Rangan Gupta ◽  
Zhihui Lv ◽  
Wing-Keung Wong
Keyword(s):  
Stock Market ◽  
The State ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Excess Returns ◽  
State Of The Economy ◽  
Causality Tests ◽  
Business Conditions ◽  
High Level ◽  
Return Dynamics

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy.

Sign in / Sign up

Export Citation Format

Share Document